The Open Mathematics, Statistics and Probability Journal

2009, 1 : 38-42
Published online 2009 May 29. DOI: 10.2174/1876527000901010038
Publisher ID: TOSPJ-1-38

Hitting Time and Place of Brownian Motion with Drift

Chuancun Yin and Chunwei Wang
School of Mathematical Sciences, Qufu Normal University, Qufu 273165, China.

ABSTRACT

We consider a d-dimensional Brownian motion in Rd with drift. The explicit expressions are obtained for the joint density of the hitting time and place to a sphere, when the process starts either from the inside the sphere or from the out of sphere.